A Practitioner's Guide to Discrete-Time Yield Curve Modelling (Elements in Quantitative Finance)

This Element is intended for students and practitioners as a gentle and intuitive introduction to the ?eld of discrete-time yield curve modelling. I strive to be as comprehensive as possible, while still adhering to the overall premise of putting a strong focus on practical applications. In addition to a thorough description of the Nelson-Siegel family of model, the Element contains a section on the intuitive relationship between P and Q measures, one on how the structure of a Nelson-Siegel model can be retained in the arbitrage-free framework, and a dedicated section that provides a detailed explanation for the Joslin, Singleton, and Zhu (2011) model.

• | Author: Ken Nyholm
• | Publisher: Cambridge University Press
• | Publication Date: January 07, 2021
• | Number of Pages: 152 pages
• | Language: English
• | Binding: Paperback
• | ISBN-10: 1108972128
• | ISBN-13: 9781108972123